Stochastic Analysis-Stochastic Differential Equations
Yaozhong Hu (University of Alberta)Jan 6, 2025 — Apr 9, 2025
About the course
This is a one semester three credit hour course. We shall first briefly introduce some basic concepts and results on stochastic processes, in particular the Brownian motions. Then we will discuss stochastic integrals, Ito formula, the existence and uniqueness of stochastic differential equations, some fundamental properties of the solution. We will concern with the Markov property, Kolmogorov backward and forward equations, Feynman-Kac formula, Girsanov formula. We will also concern with the ergodic theory and other stability problems. We may also mention some results on numerical simulations, Malliavin calculus and so on.
Registration
This course is available for registration under the Western Dean's Agreement. To register, you must obtain the approval of the course instructor and you must complete the Western Dean's agreement form , using the details below. The completed form should be signed by your home institution department and school of graduate studies, then returned to the host institution of the course.
Enrollment Details
- Course Name
- Stochastic Analysis-Stochastic Differential Equation
- Date
- Jan 6, 2025 — Apr 9, 2025
- Course Number
- MATH 510
- Section Number
- Lecture Q1
- Section Code
Instructor(s)
For help with completing the Western Dean’s agreement form, please contact the graduate student program coordinator at your institution. For more information about the agreement, please see the Western Dean's Agreement website
Other Course Details
Remote Access
We will use zoom for each lecture. The eclass website will be used to post lecture slides, homework collections, monitor midterm and final examinations